A Simple Artificial Regression Based Test of the Goodness of Fit of Binary Choice Models

• Autores: Anthony Murphy
• Localización: Oxford bulletin of economics and statistics, ISSN 0305-9049, Vol. 62, Nº. 3, 2000, págs. 445-450
• Idioma: inglés
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• Resumen

  • A test of the goodness of fit of a binary choice model is derived using the conditional moment testing approach. The test statistic may be calculated as the explained sum of squares or N:R2 in a simple artificial regression. The test statistic has reasonably good small sample properties since it is not based on the outer product gradient (OPG) form.